Kau, James B.; Keenan, Donald C.; Lyubimov, Constantine; … - In: Journal of Urban Economics 70 (2011) 2-3, pp. 75-87
This paper constructs a reduced-form credit risk model of mortgage default. The data used is of privately-securitized subprime ARMs (adjustable rate mortgages), originated between 1997 and 2008, and observed between 2000 and 2009. The period studied thus encompasses the beginning of the subprime...
